The difference between the two spelling is to make a distinction between the character created by Robert Howard, Red Sonya which appears in one short storie "Shadow of the Vulture", and the comic book character Red Sonja created by Roy Thomas and which evolves in the same world as Conan. Red Sonya (the Howard one) struggled during the siege of Vienna by the Turcs in 1529 .

In some comic book Roy Thomas also said that Conan used to call Sonja as "Son-Ya" because he couldn't pronounce it right.

I can't remember exactly in which comic book Sonja is saying to Conan something like "You dumb brute, can't even pronounce my name correctly". I think it was a "Conan the barbarian" issue, probably one of these but i'm not sure.